Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0587 |
| Annualized Std Dev | 0.1759 |
| Annualized Sharpe (Rf=0%) | 0.3337 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4849.0000 |
| NAs | 1.0000 |
| Minimum | -0.0948 |
| Quartile 1 | -0.0047 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0058 |
| Maximum | 0.1163 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0111 |
| Skewness | -0.1528 |
| Kurtosis | 10.4338 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0080 |
| Gain Deviation | 0.0078 |
| Loss Deviation | 0.0086 |
| Downside Deviation (MAR=210%) | 0.0128 |
| Downside Deviation (Rf=0%) | 0.0079 |
| Downside Deviation (0%) | 0.0079 |
| Maximum Drawdown | 0.4281 |
| Historical VaR (95%) | -0.0165 |
| Historical ES (95%) | -0.0265 |
| Modified VaR (95%) | -0.0161 |
| Modified ES (95%) | -0.0240 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-08 | 2009-03-09 | 2012-08-15 | -0.4281 | 1331 | 463 | 868 |
| 2001-11-23 | 2002-07-23 | 2005-05-04 | -0.3201 | 853 | 153 | 700 |
| 2020-02-13 | 2020-03-23 | 2020-07-15 | -0.2735 | 106 | 27 | 79 |
| 2015-08-06 | 2016-02-11 | 2017-10-04 | -0.2043 | 546 | 131 | 415 |
| 2018-10-02 | 2018-12-24 | 2019-10-29 | -0.1497 | 271 | 58 | 213 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | -0.7 | -0.8 |
| 2002 | 1.3 | 0.4 | 0.7 | 0.6 | -1.1 | -4.3 | -0.5 | -1.2 | 2.2 | -0.3 | -0.3 | 0.2 | -2.5 |
| 2003 | 1.7 | 0.3 | 1.2 | 0.4 | -0.2 | 0.7 | -1.4 | 0.4 | 0.6 | 1.3 | 1.4 | 0.6 | 7.2 |
| 2004 | -0.4 | 0.7 | 1.1 | 0.4 | 0.2 | -0.7 | 0.9 | 0.1 | 0.2 | -0.4 | 1.1 | -0.6 | 2.6 |
| 2005 | -0.4 | 1.5 | 0 | 1.7 | 0.8 | 0.3 | 0 | 1.1 | 0.1 | -0.3 | 1 | -0.6 | 5.4 |
| 2006 | 0.1 | 0.4 | -0.1 | -0.1 | 1.4 | 1.2 | 0.1 | 0.3 | 0 | -0.4 | -0.1 | -0.4 | 2.4 |
| 2007 | 0.7 | -0.7 | -0.1 | -0.1 | 0 | -0.2 | 0.2 | 0.8 | 1.2 | -1.2 | 0.7 | -0.8 | 0.5 |
| 2008 | 0.4 | -1.6 | 2.4 | 1.9 | 0.4 | 0.3 | -0.3 | -1 | 0.5 | 1.4 | -5.3 | 1.6 | 0.4 |
| 2009 | -0.4 | -4.9 | 0.3 | -0.7 | 1.2 | 0 | 0.1 | -1.4 | -1.8 | -1.3 | 1.3 | -0.3 | -7.6 |
| 2010 | 0.7 | 0.5 | 0.5 | -1 | -0.9 | -0.5 | 0.1 | 2.3 | 0.4 | 0 | 1.7 | 0 | 3.8 |
| 2011 | 2 | -0.5 | 0.6 | 0.2 | -1.4 | 1 | -1 | -0.5 | -1.4 | -2.2 | -0.2 | 0 | -3.4 |
| 2012 | 0.8 | 0.4 | 0.7 | 0.7 | -2.2 | 2.2 | 0.1 | 0.5 | 1 | 0.7 | -0.2 | 1.1 | 5.8 |
| 2013 | 0.7 | 0.6 | -0.1 | -1 | -2.2 | 1 | 0.7 | -0.7 | 0.7 | 0.3 | 0.2 | -0.3 | -0.2 |
| 2014 | -1.1 | 0.1 | 0.1 | 0.6 | 0.1 | 1.1 | -0.1 | 0.4 | -0.9 | 0.5 | 0 | -1 | -0.2 |
| 2015 | -1.5 | -0.2 | -0.6 | 1.1 | 0.3 | 0.6 | 0.5 | -2.8 | 0.7 | -0.3 | 1.5 | -1.1 | -1.9 |
| 2016 | 0.4 | 2.2 | 0.6 | -1.1 | 0.3 | 0.7 | 0.5 | -0.3 | 0.8 | -0.4 | -1 | -0.1 | 2.4 |
| 2017 | 0.5 | 0.8 | -0.3 | 0 | 1 | -0.2 | -0.2 | 0.2 | 0.7 | 0.3 | -0.1 | -0.5 | 2.2 |
| 2018 | -0.3 | -1.4 | 0.5 | -0.4 | 1.2 | 0.5 | 0.1 | -0.3 | 0.7 | 1.2 | 1.1 | 0.9 | 3.8 |
| 2019 | 0.2 | 1.2 | 0.3 | -0.5 | -0.7 | 0.4 | 0.5 | 0.3 | -1.1 | 0.3 | -0.3 | 0.2 | 0.7 |
| 2020 | -1.8 | -1.5 | -3.7 | -2 | -0.3 | 0.5 | -1.2 | -0.6 | -0.3 | -0.5 | 0.9 | 0.8 | -9.4 |
| 2021 | 0.6 | 1.4 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
